One a week over week basis VIX didn’t do very much, rising 0.01. This did occur after VIX visited the mid-12’s on Thursday. But like all moves higher in VIX lately, it was a short-lived rally. What is interesting below is the gain in futures. A week ago, I was talking about how the curve was in a mini-flatting phase. However, the futures all moved up a bit more than VIX which may be something we look back at as an early indication that the bull market was due for a rest or even a correction.
VIX made its way up to the mid-12’s on Thursday and late in the day this prompted one sizeable trade in the form of a short straddle. With VIX at 12.65 and the standard July future at 13.05 someone sold the VIX Jul 13 Call for 1.05 and also sold the VIX Jul 13 Put for 1.05 taking in a credit of 2.10. The result, if held to expiration is a profitable trade if July VIX settlement lands between 10.90 and 15.10. Five of the six standard settlements this year have fallen in this range with only June at 10.71 coming in outside the profitability range for this trade. Shortly after the market opens on July 19th we will know if this trader will benefit from VIX settlements falling in this range or not.